Pluciennik, Piotr Ryszard - In: Acta Universitatis Nicolai Copernici, Ekonomia 45 (2014) 1, pp. 115-132
Swap spreads – the spreads between the fixed rate of IRS and the yield of treasury bonds with the same maturity are very useful measure of liquidity and credit premium in the interbank market. Furthermore, they do not have the main flaw of LIBOR-OIS spread, which is that. very seldom...